The Release of Nelson Mandela: Effect on the Johannesburg Securities Exchange

Costas M. Stephanou, Gawie S. du Toit and Marius J. Maritz
Additional contact information
Costas M. Stephanou: University of South Africa, S.A
Gawie S. du Toit: University of South Africa, S.A
Marius J. Maritz: University of South Africa, S.A

Multinational Finance Journal, 2003, vol. 7, issue 3-4, 153-175

Abstract: What determined the value of South African assets after the unbanning of the African National Congress (ANC) and the release of Nelson Mandela? Economic or political events? This paper employs a dynamic version of the APT model for the period from 1991 to 1998 to determine whether the increase in volatility on the JSE changed the specification of the APT model as it applied to the Financial & Industrial Index of the Johannesburg Securities Exchange (JSE). The finding is that political events in late 1991, and economic events in mid 1994, changed APTM’s specification. This would indicate that during periods of profound political change, political events drive stock market prices.

Keywords: arbitrage pricing theory model; Johannesburg Securities Exchange; political events; economic events (search for similar items in EconPapers)
JEL-codes: G31 (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.mfsociety.org/modules/modDashboard/uplo ... doh17f11nau1ggu4.pdf
http://www.mfsociety.org/modules/modDashboard/uplo ... ogleScholar/728.html

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:7:y:2003:i:3-4:p:153-175

Access Statistics for this article

Multinational Finance Journal is currently edited by Panayiotis C. Andreou

More articles in Multinational Finance Journal from Multinational Finance Journal Contact information at EDIRC.
Bibliographic data for series maintained by Theodossiou Panayiotis ().